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Is the minimum value of an option on variance generated by local volatility?
minimum value option local volatility
2010/10/18
We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counter-example to a wide-spread co...
On refined volatility smile expansion in the Heston model
refined volatility expansion Heston model
2010/10/18
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s^{*}$ can be obtained by solving (numerically) a simple equation. This yields a leading ...